An Arena in Sorry! World represents a game tier or match level. Each Arena has a set entry cost in Gold—you spend that amount of Gold to play.  Each arena offers different levels of rewards. Higher the arena, higher the entry cost, better the rewards. 

If you win, you get a return that’s much higher than your entry.
If you lose, the arena amount is deducted from your balance.

There are many different tiers, a default one is selected when you click Play. You can swipe left or right to select one as per your preference.